You should pre-compile into DLL's before sending it up to the server.  But
you will always have a JIT hit on the first access.  After that it will stay
in ram.

It could be several things.

My first guess, since its not the first page (I would guess IIS initializing
itself as the problem is that were the case), put its the first time you hit
the datasource, is that the database takes a while to initialize itself.

Here is how you can check.  Turn on tracing.  Put Trace.Write statements
before and after calls to the database.  Look at the trace output to see the
time since last to see if there is a dramatic difference in the time between
the first page request and subsequent.  If there is a noticeable difference,
get a beafier database server.  If the database contains a huge amount of
data, loading the database initially could take some time.

JIT compilation does take time, but it should not be noticeable.  You can
precompile the assembly, but I would look elsewhere for the cause.